In no order, here are some of mine:

It's My Life- Just a well made clip, though I can't really put a finger on why it's such a good clip to watch.
Tribute- Just funny as, what else is there to say!
Men In Black- The part where 'J' dances with Mikey the alien is classic.
How Come, How Long- The twist at the end makes this clip IMO.
November Rain- Watching the way Slash plays the guitar, first outside of the church then on top of Axl's piano adds to what is already a fine clip for a legendary song.